Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0108
Annualized Std Dev 0.0764
Annualized Sharpe (Rf=0%) 0.1416

Row

Daily Return Statistics

Close
Observations 3566.0000
NAs 1.0000
Minimum -0.0950
Quartile 1 -0.0017
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0020
Maximum 0.0754
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0048
Skewness -1.2676
Kurtosis 79.3081

Downside Risk

Close
Semi Deviation 0.0036
Gain Deviation 0.0036
Loss Deviation 0.0043
Downside Deviation (MAR=210%) 0.0094
Downside Deviation (Rf=0%) 0.0035
Downside Deviation (0%) 0.0035
Maximum Drawdown 0.2481
Historical VaR (95%) -0.0057
Historical ES (95%) -0.0106
Modified VaR (95%) -0.0017
Modified ES (95%) -0.0017
From Trough To Depth Length To Trough Recovery
2008-02-06 2008-10-10 2009-09-28 -0.2481 414 172 242
2020-03-09 2020-03-19 2020-07-09 -0.1888 86 9 77
2015-02-02 2018-11-27 2019-08-05 -0.0884 1135 964 171
2012-11-01 2013-09-05 2015-01-30 -0.0846 565 212 353
2020-08-07 2021-03-18 NA -0.0600 156 154 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.1 -0.4 0.1 -0.4 -0.7 0.5 -0.4 -0.3 0.1 -0.4 0 0 -2
2008 0 0.7 -0.4 -0.4 0 -0.5 -0.4 -0.8 -2.8 -1.5 0.7 -0.8 -5.9
2009 0 0.4 -1.2 -1 -0.5 -1 0.7 -0.4 0.1 0.2 -0.8 -0.3 -3.9
2010 -0.6 -0.2 -0.5 0.3 -0.4 -0.5 0.5 -0.5 -0.1 -0.3 -1.1 0.4 -3
2011 -0.5 -0.4 -0.1 0.2 0.1 -0.2 0 0.2 0.6 -0.2 0.2 0.2 0.1
2012 -0.3 -0.3 -0.3 -0.3 0.1 -0.1 -0.4 0.5 -0.1 -0.4 0.1 -0.5 -1.9
2013 -0.4 -0.1 -0.2 -0.1 -0.5 0 -0.8 -0.1 -0.3 -0.7 0.1 -0.2 -3.2
2014 0.2 0.1 -0.3 0.1 0 -0.5 -0.1 0 0.3 -0.1 -0.6 0.2 -0.7
2015 0.6 0.4 0 -0.7 -0.5 -0.6 0.4 0.1 -0.3 0.4 0.3 0.2 0.2
2016 -0.5 -0.5 -0.1 0.2 -0.1 0.2 -0.6 -0.2 -0.1 -0.4 -0.7 0.2 -2.7
2017 -0.1 -0.7 0.1 -0.4 -0.2 0 -0.1 -0.4 0.1 -0.1 0.2 0 -1.5
2018 -0.7 -0.2 0.2 -0.5 -0.4 0 -0.4 0 -0.4 -0.2 0 0.3 -2.3
2019 -0.5 -0.5 -0.7 -0.3 0.3 -0.2 0.5 0 -0.2 -0.2 -0.1 -0.3 -2.3
2020 0.3 0.7 -1.6 -0.6 -0.3 0 0.1 0.3 -0.1 -0.4 -0.5 0 -2
2021 0 -0.1 0.2 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-11  50.3 SPY    142.  0.0044   0.0035   0.0052   0.0509    0.103    0.265    0.230 GLD    60.6  0.0007  -0.0165
2 2007-01-12  50.2 SPY    143.  0.0076   0.0192   0.0099   0.0602    0.108    0.265    0.234 GLD    62.2  0.0254   0.0332
3 2007-01-16  50.2 SPY    143. -0.002    0.0125   0.0087   0.049     0.110    0.270    0.244 GLD    62.0 -0.0032   0.0246
4 2007-01-17  50.1 SPY    143.  0.0004   0.0138   0.0081   0.0468    0.111    0.260    0.252 GLD    62.6  0.0108   0.0294
5 2007-01-18  50.1 SPY    143. -0.0034   0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
6 2007-01-19  50.2 SPY    143.  0.002    0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart